Università degli Studi di Siena

FINANCIAL MODELING II

AF monodisc.

Course details

Academic year:

2013/2014

Available in academic year:

2014/2015

Type of course:

Characteristic of the class

Department/structure:

Second cycle degree (Laurea Magistrale) in FINANCE

Department of Business and law

Scientific-disciplinary sector:

METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE (SECS-S/06)

Course language:

English

Credits:

Course year:

Teaching staff:

RENO' ROBERTO

Semester:

First Semester

Hours of lectures:

Hours of self study:

Requirements:

Financial Modelling I (stochastic processes, Black-Scholes model)

Learning objectives

• Be aware of the most important models used in the practice of quantitative finance
• Learn mathematical models and techniques which are commonly used in finance: PDEs, expectations, Poisson processes, change of measures.
• Learn the basic principles of scientific computing applied to finance
• Relate theoretical results with current market practice

Contents

1 Stochastic volatility modelling
• ARCH-GARCH models
• Heston model
• SABR model
2 Jump-diffusion models
• Poisson processes
• Pricing in the presence of jumps
3 Interest rate derivatives
• FRAs, Swaps, Caps, Floors, Swaptions
• Short rate models
• HJM modelling
• LIBOR market model
4 Credit risk
• Endogenous default: Merton model
• Exogenous default: reduced form models
• CDS and CDOs

Full programme

Other courses

Course year: 1

CORPORATE VALUATION
9 credits - Characteristic of the class
ECONOMETRICS
6 credits - Characteristic of the class
ENGLISH FOR ECONOMICS & BUSINESS
6 credits - Various educational activities
FINANCIAL INVESTMENTS AND RISK MANAGEMENT
9 credits - Characteristic of the class
FINANCIAL MODELING I
9 credits - Characteristic of the class
FUNDAMENTALS OF PROGRAMMING
6 credits - Various educational activities
IT FOR BUSINESS AND FINANCE
6 credits - Various educational activities
MICROECONOMICS FOR BUSINESS AND FINANCE
6 credits - Characteristic of the class

Course year: 2

ADVANCED FINANCIAL MODELING
6 credits - Supplementary
ASSET ALLOCATION
6 credits - Supplementary
BEHAVIORAL ECONOMICS
6 credits - Supplementary
ECONOMICS OF SUSTAINABLE DEVELOPMENT
6 credits - Supplementary
FINANCIAL ENGENEERING
6 credits - Supplementary
FINANCIAL MARKETS
6 credits - Supplementary
FINANCIAL MODELING II
9 credits - Characteristic of the class
INTERNATIONAL BANKING AND FINANCIAL REGULATION
6 credits - Characteristic of the class
INTERNATIONAL FINANCIAL ACCOUNTING
6 credits - Supplementary
MONETARY ECONOMICS
6 credits - Characteristic of the class
OTHERS AT STUDENT'S CHOICE
9 credits - Optional
STATISTICS FOR BUSINESS DECISION MAKING
6 credits - Supplementary
THESIS
15 credits - A foreign language/final examination

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FINANCIAL MODELING II

FINANCIAL MODELING II